Rightclick on the script -> Send to Desktop
This creates a shortcut on the desktop.
Give the thing a nice name.
Rightclick -> Properties.
Change the target field: add "C:\Python26\pythonw.exe" in front of it separated by a space. Or whatever the location of pythonw.exe is on your system. To be more precise: Use pythonw.exe for .pyw files and python.exe for .py files. You can leave out the "" if there is no space character in the path name.
Then rightclick -> Pin to taskbar.
That should give you the proper thing in the taskbar.

Last edited by pietvo; 03-29-2010 at 06:04 AM.
Reason: Corrected typo (python2->pythonw) and added the distinction between python and pythonw